CoVaR - Princeton University
maturity mismatch, and asset price booms signi cantly predict CoVaR . We also provide out-of-sample forecasts of a counter-cyclical, forward-looking measure of systemic risk, and show that the 2006Q4 value of this measure would have predicted more than one third of realized CoVaR during the 2007-09 nancial crisis. JEL: G01, G10, G18, G20, G28 ...
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